Financial Rogue Waves

By Zhenya Yan. 2009

391 citations recorded by the source corpus.

We analytically give the financial rogue waves in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black—Scholes model. These rogue wave solutions may he used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

Subfields: Modeling and Simulation, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/136d8e38a60b71a19353c7c65694a5694cbf9ab8

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In Statistical and Nonlinear Physics

1. Vladimir V. Konotop
2. Nail Akhmediev
3. Zhenya Yan
4. Jianke Yang
5. W. Moslem
6. John M. Dudley
7. Francesco Fedele

Citations in the corpus

• Vector rogue waves in binary mixtures of Bose-Einstein condensates (2010, background): “For example, considering the rogue waves in the financial world [26,27] as an example, we cannot restrict ourselves by only one variable – the amount of money.”